On Monday, September 28, 2015, the North American High Yield CDX index (High Yield CDX) will be reconstituted, or “rolled”. Ten reference entities will be removed from the index, replaced by 10 new reference entities. Significantly, the 10 removed names include only one in the energy sector, whereas the 10 new names include five, increasing the energy sector weighting in the High Yield CDX by four percentage points. The five new energy sector reference entities introduced to the High Yield CDX at this roll are also likely to trade on a single-name basis.
In this Market Flash, Richards Kibbe & Orbe partner Julia Lu discusses these changes to the High Yield CDX Index and their effects.